I'd stick Gretzky at the top of my list. Jordan would be #2, Babe Ruth #3 and Tiger Woods #4. Jerry Rice probably deserves a spot in the top 10, but he doesn't seem to get the recognition he deserves. The biggest icon in the tennis world (not the best player though) would have to be John McEnroe.
Ali. Unquestionably, particularly if you're talking worldwide. MJ is up there, although a lot of people would know he was, without ever having seen him play, particularly in my country (Britain).
